It is much easier if you can just change the system proxy settings, this must not be an option for you.
I'm assuming you are using a local webdriver (not using the standalone server or Grid).
By setting the proxy, IEDriverServer will temporarily change the system proxy. When this happens, Selenium's traffic between the client and driver server will be routed through the proxy, which is a problem when a non-local proxy server is sent a loopback address. To prevent that, you can set the environmental variable no_proxy.
By changing the default desired capabilities, all future IE sessions will use the proxy until the interpreter exits. It will work for local and remote webdrivers, but if you are using the remote webdriver, it could be made simpler.
Proxy Test
Set Environment Variable no_proxy 127.0.0.1
${proxy}= Set Variable myproxyserver:8888
${proxy dict}= Create Dictionary httpProxy ${proxy} ftpProxy ${proxy} sslProxy
... ${proxy} noProxy 127.0.0.1 proxyType MANUAL class
... org.openqa.selenium.Proxy autodetect ${False}
${default IE caps}= Evaluate sys.modules["selenium.webdriver"].DesiredCapabilities.INTERNETEXPLORER sys,selenium.webdriver
Set To Dictionary ${default IE caps} proxy ${proxy dict}
[Teardown] Close All Browsers